An extensive literature on stock price momentum documents that past price performance predicts future price performance (over the next 3-12 months). I argue that past price performance could be driven either by informed investors or by noise traders and financial statement analysis (FSA) can...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

This paper provides evidence that the 52-week high serves as a psychological barrier, inducing expectational errors and underreaction to news. Two clear predictions emerge and are confirmed in the data. First, nearness to a 52-week high induces expectational errors; evidence from earnings...

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Recent literature has documented both a positive and a negative relation between idiosyncratic risk derived from standard asset pricing models and return. Fu (2009) resolves this debate by explicitly modeling expected as opposed to total idiosyncratic risk and finds a strong positive relation...

We find that aggregate net equity fund flows are strongly negatively correlated with changes in expected future stock market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale decisions by risk perceptions, we further find that...

Purpose - This article aims to present a new strategy of portfolio selection.Design/methodology/approach - After having made a comparative survey of different strategies of portfolio selection adopted by portfolio managers in Tunisia, we propose a new strategy, which we call weighted...